Many horror themed tv shows have had a Christmas episode or two here is my pics of the best, or at least what I could think of.
A Supernatural Christmas Special–Sam and Dean fight a couple of Pagan Gods pretending to be St.Nick on Christmas while remembering the Christmas they had growing up. This one I highly recommend its on the S3 box set.
Buffy the Vampire Slayer–The First a big villain later in season 7 tries to get Angel to commit suicide. This is kinda sappy but it introduced The First who was a pain in the ass later on. This episode is on the S3 box set.
Mystery Science Theater 3000— One with Joel, Santa Claus Conquers the Martians, a bunch of Martians kidnap Santa to bring Christmas to Mars. One with Mike simply called Santa Claus. In this one Santa teams up with Merlin the Magian to fight Satan. Ok yeah its funny when you watch it with Mike and the Bots. Both are on dvd the Mike episode was just released.
Tales from The Crypt–The Crypt Keeper spins a tale of a killer Santa killing people on Christmas Eve. This episode is on the S1 box set.
The Real Ghostbusters–The GB accidentlychange the future and destroy Christmas by capturing the Ghosts of X-mas Past,present and Yet to come. This episode is in the Complete Series box set.